首页|Asymptotic Properties of Estimators for Ornstein-Uhlenbeck Processes with Small Symmetric α-Stable Motions

Asymptotic Properties of Estimators for Ornstein-Uhlenbeck Processes with Small Symmetric α-Stable Motions

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The asymptotic behaviors for estimators of the drift parameters in the Ornstein-Uhlenbeck process driven by small symmetric α-stable motion are studied in this paper. Based on the discrete observations, the conditional least squares estimators ( CLSEs ) of all the parameters involved in the Ornstein–Uhlenbeck process are proposed. We establish the consistency and the asymptotic distributions of our estimators as ε goes to 0 and n goes to ∞simultaneously.

Ornstein-Uhlenbeck processsymmetric α-stable motionconditional least squares estimator ( CLSE )consistencyasymptotic distribution

PAN Yurong、JIA Chaoyong、LIU Xiaoyan

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School of Science, Bengbu University, Bengbu 233030, China

College of Arts and Sciences, University of La Verne, La Verne 91750, USA

Key Natural Science Foundation of Anhui Education Commission,ChinaNatural Science Foundation of Anhui Province,ChinaQuality Engineering Project of Anhui Province,ChinaQuality Engineering Project of Bengbu University,China

KJ2017A5681808085MA022019jyxm04762018JYXML8

2020

东华大学学报(英文版)
东华大学

东华大学学报(英文版)

影响因子：0.091
ISSN：1672-5220
年,卷(期)：2020.37(4)
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